Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0013
Annualized Std Dev 0.1390
Annualized Sharpe (Rf=0%) -0.0095

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1001
Quartile 1 -0.0036
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0038
Maximum 0.1297
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0088
Skewness -0.1877
Kurtosis 20.6667

Downside Risk

Close
Semi Deviation 0.0063
Gain Deviation 0.0065
Loss Deviation 0.0071
Downside Deviation (MAR=210%) 0.0115
Downside Deviation (Rf=0%) 0.0063
Downside Deviation (0%) 0.0063
Maximum Drawdown 0.3907
Historical VaR (95%) -0.0126
Historical ES (95%) -0.0209
Modified VaR (95%) -0.0112
Modified ES (95%) -0.0112
From Trough To Depth Length To Trough Recovery
1999-01-29 2008-10-10 2010-07-16 -0.3907 2884 2441 443
2012-09-05 2020-03-20 NA -0.3071 2149 1897 NA
2010-08-18 2011-04-15 2011-12-02 -0.1534 328 168 160
2011-12-28 2012-01-19 2012-07-02 -0.1186 129 15 114
2012-07-09 2012-07-24 2012-08-29 -0.0488 38 12 26

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.6 -0.6 -1.3 -0.3 0.4 0.7 -0.7 -0.4 -0.4 -0.8 -0.4 -0.4 -3.5
2000 0.8 0.8 0.4 0.8 2 0.4 0.4 0 -0.7 0.4 0.4 -0.7 4.8
2001 1.7 0.9 -0.2 -0.5 0.7 -0.5 1.2 0.1 1 0.4 -0.7 0.2 4.2
2002 0.4 0.3 2.6 0.4 -0.6 0.1 -0.7 -0.3 -0.4 0.1 -0.6 0.5 1.7
2003 0 0.3 1.8 0 -0.2 0.7 -2.4 -0.4 1 0.9 0.1 -0.2 1.5
2004 0.4 0.3 0.9 -0.1 0 -0.2 1.4 1.2 -0.2 0.6 -0.9 0.2 3.8
2005 -0.4 -0.2 0.8 0.9 -0.1 0.3 -0.5 0.8 0.5 -0.1 0.3 -0.2 2.2
2006 0.1 0.9 -0.4 -1.6 0.2 1.2 -0.6 0.8 0.7 0.1 0.3 -0.4 1.2
2007 0.3 -0.1 0.2 -0.2 0.1 0.2 0.7 0.6 0.9 -0.5 0.2 0.5 2.9
2008 -0.1 -0.2 0.3 -0.2 -0.4 -0.3 0.5 0.7 6.2 3.2 2.6 -3 9.3
2009 -1 -1.9 0.2 2.6 -5.8 -0.1 1 0.8 0.5 0.2 1.6 -0.5 -2.7
2010 1.4 1.9 0.1 0.2 2 1 0.2 -0.2 -1.7 -0.4 -0.2 0.3 4.7
2011 0.6 0 -0.1 0.3 -0.6 -0.3 0.6 -0.4 -1.1 0.4 -0.4 1 0.2
2012 0.2 1.2 -0.6 0.1 0 1 0 -0.2 0.1 0.5 0.8 1.7 5.1
2013 1.6 -0.2 0.2 0.3 -0.5 -0.7 -0.7 0.2 0.3 0.6 0 -0.3 0.8
2014 -0.1 -0.3 0.2 0.1 -0.1 -0.9 0.1 -1.1 0.4 0.1 0 1.2 -0.5
2015 -0.3 -0.1 0 -0.1 -0.8 -0.1 0.1 0.6 1.1 -0.1 1.3 0.2 1.7
2016 0.1 0.6 -0.1 0.7 0.1 0.1 0 0.1 -0.1 -0.3 -0.9 0.5 0.8
2017 -0.3 -1.1 0.1 -0.2 0.1 -0.3 -0.1 -0.1 -0.4 -0.1 0.2 0.2 -2.1
2018 -0.2 -0.2 0.4 0.2 -0.2 0.6 0.3 -0.9 0.5 1 0.4 0.1 2
2019 0.2 -0.2 -0.4 0.1 0.9 2.4 0.6 0.1 -0.4 -0.1 -0.3 1.6 4.4
2020 -0.2 -2.5 -2.1 -0.8 0.8 0.6 -0.3 0.3 0 -1 0.4 2.9 -1.9
2021 0.3 1.1 0.3 NA NA NA NA NA NA NA NA NA 1.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  19.9 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  19.8 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  20.1 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  20.1 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  20.4 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  20.2 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart